Answer:
Loss of 34.7%
Explanation:
An interest rate futures contract margin has an initial requirement of 15%
The future price is $124,488
The contract has a $100,000 underlying per value bond.
The future price falls to $117,500
The first step is to calculate the margin
= future price×initial margin
= $124,488×15/100
= $124,488×0.15
= $18,673.2
The next step is to calculate the total loss
= future price-fall in future price
= $124,488-$117,500
= $6,988
Therefore, the total percentage loss can be calculated as follows
= Total loss/Margin
= 6,988/18,673.2
= 0.374×100
= 34.7%
Hence a loss of 34.7% will be experienced on the amount of money invested.
